Abstract.
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring the small deviations from the market price. We then show there is a similar non-trivial probability structure in the Sony bank rate, in spite of the Sony bank rate's having less frequent and larger deviations than tick-by-tick data. However, this probability structure is not found in the data which has been sampled from tick-by-tick data at the same rate as the Sony bank rate. Therefore, the method of generating the Sony bank rate from the market rate has the potential for practical use since the method retains the probability structure as the sampling frequency decreases.
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Sazuka, N. Analysis of binarized high frequency financial data. Eur. Phys. J. B 50, 129–131 (2006). https://doi.org/10.1140/epjb/e2006-00139-4
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DOI: https://doi.org/10.1140/epjb/e2006-00139-4